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A test for the global minimum variance portfolio for small sample and singular covariance
Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.ORCID-id: 0000-0001-7855-8221
Rekke forfattare: 32017 (engelsk)Inngår i: AStA Advances in Statistical Analysis, ISSN 1863-8171, E-ISSN 1863-818X, Vol. 101, nr 3, s. 253-265Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

Recently, a test dealing with the linear hypothesis for the global minimum variance portfolio weights was obtained under the assumption of non-singular covariance matrix. However, the problem of potential multicollinearity and correlations of assets constitutes a limitation of the classical portfolio theory. Therefore, there is an interest in developing theory in the presence of singularities in the covariance matrix. In this paper, we extend the test by analyzing the portfolio weights in the small sample case with a singular population covariance matrix. The results are illustrated using actual stock returns and a discussion of practical relevance of the model is presented.

sted, utgiver, år, opplag, sider
2017. Vol. 101, nr 3, s. 253-265
Emneord [en]
Global minimum variance portfolio, Singular Wishart distribution, Singular covariance matrix, Small sample problem
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-145948DOI: 10.1007/s10182-016-0282-zISI: 000406350700002OAI: oai:DiVA.org:su-145948DiVA, id: diva2:1134747
Tilgjengelig fra: 2017-08-21 Laget: 2017-08-21 Sist oppdatert: 2020-03-05bibliografisk kontrollert

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